QuantLib_DPlus

Langue: en

Autres versions - même langue

Version: 376230 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::DPlus -

$ D_{+} $ matricial representation

SYNOPSIS


#include <ql/methods/finitedifferences/dplus.hpp>

Inherits QuantLib::TridiagonalOperator.

Public Member Functions


DPlus (Size gridPoints, Real h)

Detailed Description

$ D_{+} $ matricial representation

The differential operator $ D_{+} $ discretizes the first derivative with the first-order formula [ ac{
artial u_{i}}{
artial x} pprox ac{u_{i+1}-u_{i}}{h} = D_{+} u_{i} ]

Author

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